In this paper we survey a wide selection of the interpolation algorithms that are in use in financial markets for construction of curves such as forward curves, basis curves, and most importantly, yield curves. In the case of yield curves we also review the issue of bootstrapping and discuss how the interpolation algorithm should be in- timately connected to the bootstrap itself.

We present a numerical method for computing the free boundary problem for the American Put. A change of variable at each time step transforms the free boundary problem into a fixed one so that a mesh, that is refined near the "free boundary" is build once for all. We prove the accuracy of our numerical scheme with several examples.

With the finalisation of the LCR in October, the market place is taking stock of the new liquidity environment and market place. The 2015 Liquidity Management & Optimisation event is structured to give a comprehensive overview of liquidity regulations and developments into 2016 post-LCR, direct from a range of Bank speakers.

Some of the key sessions at Liquidity Management & Optimisation:

PRA Update: Finalised Liquidity and Risk Supervision Rules and Guidance
Intraday: Expectations for the EBA?s 2016 Paper and How to Manage the SREP and BCBS248 Requirements
Panel session: Optimising the Balance Sheet in the New Liquidity Environment
Minimizing Liquidity Consumption through the Dynamic Management of Asset Correlations
New Approaches to Liquidity Stress Testing